Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, Second Edition
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More About This Title Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, Second Edition
English
ANTHONY SAUNDERS is John M. Schiff Professor of Finance and Chair of the Department of Finance at the Stern School of Business at New York University. He holds positions on the Board of Academic Consultants of the Federal Reserve Board of Governors and the Council of Research Advisors for the Federal National Mortgage Association. He is an editor of the Journal of Banking and Finance and Financial Markets, Instruments, and Institutions.
LINDA ALLEN is Professor of Finance at the Zicklin School of Business at Baruch College, CUNY, and Adjunct Professor of Finance at the Stern School of Business at New York University. She is also the author of Capital Markets and Institutions: A Global View (Wiley). She is an associate editor of the Journal of Banking and Finance, Journal of Economics and Business, Multinational Finance Journal, Journal of Multinational Financial Management, and The Financier.
LINDA ALLEN is Professor of Finance at the Zicklin School of Business at Baruch College, CUNY, and Adjunct Professor of Finance at the Stern School of Business at New York University. She is also the author of Capital Markets and Institutions: A Global View (Wiley). She is an associate editor of the Journal of Banking and Finance, Journal of Economics and Business, Multinational Finance Journal, Journal of Multinational Financial Management, and The Financier.
English
List of Abbreviations.
Why New Approaches to Credit Risk Measurement and Management?
Traditional Approaches to Credit Risk Measurement.
The BIS Basel International Bank Capital Accord: January 2002.
Loans as Options: The KMV and Moody's Models.
Reduced Form Models: KPMG's Loan Analysis System and Kamakura's Risk Manager.
The VAR Approach: CreditMetrics and Other Models.
The Macro Simulation Approach: The CreditPortfolio View and Other Models.
The Insurance Approach: Mortality Models and the CSFP Credit Risk Plus Model.
A Summary and Comparison of New Internal Model Approaches.
Overview of Modern Portfolio Theory and Its Application to Loan Portfolios.
Loan Portfolio Selection and Risk Management.
Stress Testing Credit Risk Models: Algorithmics Mark-to-Future.
Risk-Adjusted Return on Capital Models.
Off-Balance-Sheet Credit Risk.
Credit Derivatives.
Bibliography.
Notes.
Index.
Why New Approaches to Credit Risk Measurement and Management?
Traditional Approaches to Credit Risk Measurement.
The BIS Basel International Bank Capital Accord: January 2002.
Loans as Options: The KMV and Moody's Models.
Reduced Form Models: KPMG's Loan Analysis System and Kamakura's Risk Manager.
The VAR Approach: CreditMetrics and Other Models.
The Macro Simulation Approach: The CreditPortfolio View and Other Models.
The Insurance Approach: Mortality Models and the CSFP Credit Risk Plus Model.
A Summary and Comparison of New Internal Model Approaches.
Overview of Modern Portfolio Theory and Its Application to Loan Portfolios.
Loan Portfolio Selection and Risk Management.
Stress Testing Credit Risk Models: Algorithmics Mark-to-Future.
Risk-Adjusted Return on Capital Models.
Off-Balance-Sheet Credit Risk.
Credit Derivatives.
Bibliography.
Notes.
Index.
